55 lines
1.8 KiB
Python
55 lines
1.8 KiB
Python
"""
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Spread pair list filter
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"""
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import logging
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from typing import Any, Dict
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from freqtrade.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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class SpreadFilter(IPairList):
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def __init__(self, exchange, pairlistmanager,
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config: Dict[str, Any], pairlistconfig: Dict[str, Any],
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pairlist_pos: int) -> None:
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super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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self._max_spread_ratio = pairlistconfig.get('max_spread_ratio', 0.005)
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self._enabled = self._max_spread_ratio != 0
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@property
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def needstickers(self) -> bool:
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"""
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Boolean property defining if tickers are necessary.
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If no Pairlist requires tickers, an empty List is passed
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as tickers argument to filter_pairlist
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"""
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return True
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def short_desc(self) -> str:
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"""
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Short whitelist method description - used for startup-messages
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"""
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return (f"{self.name} - Filtering pairs with ask/bid diff above "
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f"{self._max_spread_ratio * 100}%.")
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def _validate_pair(self, ticker: dict) -> bool:
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"""
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Validate spread for the ticker
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:return: True if the pair can stay, False if it should be removed
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"""
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if 'bid' in ticker and 'ask' in ticker:
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spread = 1 - ticker['bid'] / ticker['ask']
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if spread > self._max_spread_ratio:
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self.log_on_refresh(logger.info, f"Removed {ticker['symbol']} from whitelist, "
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f"because spread {spread * 100:.3f}% >"
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f"{self._max_spread_ratio * 100}%")
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return False
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else:
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return True
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return False
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